Question....I need your help!!!

Since I'm new to this whole blogging thing, I have tried to figure out all the cool things I have seen on my favorite blogger's pages.  One of the biggest things I've enjoyed most about blogging is commenting on other people's posts.  I usually just leave my blog sight address but would love to know how to hyperlink it in my comment. 

Do you know how to do this?  Please help!!!!!!!